Problem is backtest does not work like demo mode in real time.Backtest make many neutral trades in 0 but really in demo mode is not like that…these trades close at stop loss ..never in be and i dont know why

Just i’ve added the trailing stop made for Nicolas time ago but this trailing is aplyed at the close of candle and no follow the price…problem…when sl or trailing step is in the same candle backtest can not calculate and return very good results but are not reals.

Code of trailing is this but i dont know how integrate it because does not work properly…try this…copy and paste this code at final of any system you have and check resuts in 2h,4h,1h… you will see are amazing but no real

128 line to final add to any other code

Defparam cumulateorders = false

possize = 1

//////////////////////////////////////////////////////////////
//Andrew Abraham Trend Trader
//Posted by @Nicolas in PRC Library
/////////////////////////////////////////////////////////////

Length = 21
Multiplier = 3

avrTR = weightedaverage[Length](AverageTrueRange[1](close))
highestC = highest[Length](high)
lowestC = lowest[Length](low)
hiLimit = highestC[1]-(avrTR[1]*Multiplier)
lolimit = lowestC[1]+(avrTR[1]*Multiplier)
 
if(close > hiLimit AND close > loLimit) THEN
ret = hiLimit
ELSIF (close < loLimit AND close < hiLimit) THEN
ret = loLimit
ELSE
ret = ret[1]
ENDIF

/////////////////////////////////////////////////////////////
//Simplified supertrend (without volatility component ATR)
//Posted by @verdi55 in PRC Library
/////////////////////////////////////////////////////////////

ONCE direction = 1
ONCE STlongold = 0
ONCE STshortold = 1000000000000
 
factor = 0.005
 
indicator1 = medianprice
 
indicator3 = close
 
indicator2 = indicator3 * factor
 
STlong = indicator1 - indicator2
 
STshort = indicator1 + indicator2
 
If direction = 1 and STlong < STlongold then
STlong = STlongold
endif
 
If direction = -1 and STshort > STshortold then
STshort = STshortold
endif
 
If direction = 1 and indicator3 < STlong then
direction = -1
endif
 
If direction = -1 and indicator3 > STshort then
direction = 1
endif
 
STlongold = STlong
STshortold = STshort
 
If direction = 1 then
ST = STlong
else
ST = STshort
endif

/////////////////////////////////////////////////////////////
//PRC_adaptive SuperTrend (r-square method) | indicator
//Posted by @Nicolas in PRC Library
/////////////////////////////////////////////////////////////
 
Period = 10
mult = 2
 
Data = customclose
 
SumX  = 0
SumXX = 0
SumXY = 0
SumYY = 0
SumY  = 0
 
if barindex>Period then
 
// adaptive r-squared periods
for k=0 to period-1 do
tprice = Data[k]
SumX  = SumX+(k+1)
SumXX = SumXX+((k+1)*(k+1))
SumXY = SumXY+((k+1)*tprice)
SumYY = SumYY+(tprice*tprice)
SumY  = SumY+tprice
next
   
Q1  = SumXY - SumX*SumY/period
Q2  = SumXX - SumX*SumX/period
Q3  = SumYY - SumY*SumY/period
 
iRsq=((Q1*Q1)/(Q2*Q3))
 
avg = supertrend[mult,round(Period+Period*(iRsq-0.25))]

EndIf

//////////////////////////////////////////////////////////////////
OriginalST = Supertrend[3,5]
/////////////////////////////////////////////////////////////////

margin = 7*pointsize

If countofposition = 0 and abs(ret[1]-ST[1]) > margin and abs(ret-ST) > margin Then
If close > ret and close > ST and close > avg Then
Buy possize contract at market
ElsIf close < ret and close < ST and close < avg Then
Sellshort possize contract at market
EndIf
ElsIf longonmarket and ((abs(ret[1]-ST[1]) < margin and abs(ret-ST) < margin) or ((close < ret and close < ST and close < avg and close < OriginalST) and (close[1] < ret[1] and close[1] < ST[1] and close[1] < avg[1] and close[1] < OriginalST[1]))) Then
Sell at market
ElsIf shortonmarket and ((abs(ret[1]-ST[1]) < margin and abs(ret-ST) < margin) or ((close > ret and close > ST and close > avg and close > OriginalST) and (close[1] < ret[1] and close[1] < ST[1] and close[1] > avg[1] and close[1] < OriginalST[1]))) Then
Exitshort at market
EndIf
SL = 20//15//20 // Initial SL
TP = 0//30
TSL = 1 // Use TSL?
TrailingDistance =5// 20//20//20 // Distance from close to TSL
TrailingStep =5// 20//20//3 // Pips locked at start of TSL
 
//************************************************************************
IF TSL = 1 THEN
 
//reset the stoploss value
IF NOT ONMARKET THEN
newSL = 0
CAND = 0
ENDIF
 
//manage long positions
IF LONGONMARKET THEN
//first move (breakeven)
IF newSL = 0 AND CLOSE - TRADEPRICE(1) >= TrailingDistance*PipSize THEN
newSL = TRADEPRICE(1) + TrailingStep*PipSize
ENDIF
//next moves
CAND = BarIndex - TradeIndex
IF newSL > 0 AND CLOSE[1] >= HIGHEST[CAND](CLOSE) THEN
newSL = CLOSE[1] - TrailingDistance*PipSize
ENDIF
ENDIF
 
//manage short positions
IF SHORTONMARKET THEN
//first move (breakeven)
IF newSL = 0 AND TRADEPRICE(1) - CLOSE[1] >= TrailingDistance*PipSize THEN
newSL = TRADEPRICE(1) - TrailingStep*PipSize
ENDIF
//next moves
CAND = BarIndex - TradeIndex
IF newSL > 0 AND CLOSE[1] <= LOWEST[CAND](CLOSE) THEN
newSL = CLOSE[1] + TrailingDistance*PipSize
ENDIF
ENDIF
 
//stop order to exit the positions
IF newSL > 0 THEN
SELL AT newSL STOP
EXITSHORT AT newSL STOP
ENDIF
SET STOP pLOSS SL
set target pprofit tp
ENDIF

2018-01-28_1213.png

Also, I think your setting of TP = 0 in your code is why there’s massive difference between the optimised results table (shows bad) and the equity curve (shows good!) … even with tick by tick selected. See attached.

I will continue to think on this while I have a shave! Often have brainwaves while shaving / cleaning teeth and away from the screen! 🙂

I haven’t studied  / understood your code, but when there is a zero bar / 0 bar then on the equity curve it is showing as 0 profit but in reality it has been a SL value loss (in my case attached SL = £55 loss!

But the odd thing is … some 0 bars / zero bars do show as -£55 loss (see attached) so still some thinking to do! 🙂

I went over a few trades bar by bar on a 1 min TF and the anomaly (see line above) doesn’t seem to be related to whether a profit is hit before the -55 loss or vice versa.

Any comments anyone??

GraHal

juanan71-2.jpg juanan71-3.jpg juanan71-4.jpg